Export metrics

Author: MDUYN

investing_algorithm_framework/__init__.py

@@ -24,7 +24,7 @@
     AWSS3StorageStateHandler
 from .create_app import create_app
 from .download_data import download
-from .services.metrics import get_annual_volatility, get_sortino_ratio, \
+from .services import get_annual_volatility, get_sortino_ratio, \
     get_drawdown_series, get_max_drawdown, get_equity_curve, \
     get_price_efficiency_ratio, get_sharpe_ratio, \
     get_profit_factor, get_cumulative_profit_factor_series, \
@@ -41,7 +41,8 @@
     get_trades_per_year, get_average_monthly_return_losing_months, \
     get_average_monthly_return_winning_months, get_percentage_winning_years, \
     get_rolling_sharpe_ratio, create_backtest_metrics, get_growth, \
-    get_growth_percentage, get_cumulative_exposure
+    get_growth_percentage, get_cumulative_exposure, get_median_return, \
+    get_average_return, get_risk_free_rate_us
 
 
 __all__ = [
@@ -165,5 +166,8 @@
     "get_growth_percentage",
     "BacktestEvaluationFocus",
     "combine_backtests",
-    "PositionSize"
+    "PositionSize",
+    "get_median_return",
+    "get_average_return",
+    "get_risk_free_rate_us"
 ]

investing_algorithm_framework/services/__init__.py

@@ -12,7 +12,27 @@
 from .positions import PositionService, PositionSnapshotService
 from .repository_service import RepositoryService
 from .trade_service import TradeService
-from .metrics import get_risk_free_rate_us
+from .metrics import get_annual_volatility, \
+    get_sortino_ratio, get_drawdown_series, get_max_drawdown, \
+    get_equity_curve, get_price_efficiency_ratio, get_sharpe_ratio, \
+    get_profit_factor, get_cumulative_profit_factor_series, \
+    get_rolling_profit_factor_series, \
+    get_cagr, get_standard_deviation_returns, \
+    get_standard_deviation_downside_returns, \
+    get_total_return, get_cumulative_exposure, get_exposure_ratio, \
+    get_yearly_returns, get_monthly_returns, get_best_year, \
+    get_best_month, get_worst_year, get_worst_month, get_best_trade, \
+    get_worst_trade, get_average_yearly_return, get_average_gain, \
+    get_average_loss, get_average_monthly_return, \
+    get_percentage_winning_months, get_average_trade_duration, \
+    get_trade_frequency, get_win_rate, get_win_loss_ratio, \
+    get_calmar_ratio, get_max_drawdown_absolute, \
+    get_max_drawdown_duration, get_max_daily_drawdown, get_trades_per_day, \
+    get_trades_per_year, get_average_monthly_return_losing_months, \
+    get_average_monthly_return_winning_months, get_percentage_winning_years, \
+    get_rolling_sharpe_ratio, create_backtest_metrics, get_growth, \
+    get_growth_percentage, get_risk_free_rate_us, get_median_return, \
+    get_average_return
 
 __all__ = [
     "OrderService",
@@ -35,5 +55,59 @@
     "PortfolioProviderLookup",
     "TradeOrderEvaluator",
     "DefaultTradeOrderEvaluator",
-    "get_risk_free_rate_us"
+    "get_risk_free_rate_us",
+    "get_annual_volatility",
+    "get_sortino_ratio",
+    "get_drawdown_series",
+    "get_max_drawdown",
+    "get_equity_curve",
+    "get_price_efficiency_ratio",
+    "get_sharpe_ratio",
+    "get_profit_factor",
+    "get_cumulative_profit_factor_series",
+    "get_rolling_profit_factor_series",
+    "get_sharpe_ratio",
+    "get_cagr",
+    "get_standard_deviation_returns",
+    "get_standard_deviation_downside_returns",
+    "get_max_drawdown_absolute",
+    "get_total_return",
+    "get_cumulative_exposure",
+    "get_exposure_ratio",
+    "get_average_trade_duration",
+    "get_win_rate",
+    "get_win_loss_ratio",
+    "get_calmar_ratio",
+    "get_trade_frequency",
+    "get_yearly_returns",
+    "get_monthly_returns",
+    "get_best_year",
+    "get_best_month",
+    "get_worst_year",
+    "get_worst_month",
+    "get_best_trade",
+    "get_worst_trade",
+    "get_average_yearly_return",
+    "get_average_gain",
+    "get_average_loss",
+    "get_average_monthly_return",
+    "get_percentage_winning_months",
+    "get_average_trade_duration",
+    "get_trade_frequency",
+    "get_win_rate",
+    "get_win_loss_ratio",
+    "get_calmar_ratio",
+    "get_max_drawdown_duration",
+    "get_max_daily_drawdown",
+    "get_trades_per_day",
+    "get_trades_per_year",
+    "get_average_monthly_return_losing_months",
+    "get_average_monthly_return_winning_months",
+    "get_percentage_winning_years",
+    "get_rolling_sharpe_ratio",
+    "get_growth_percentage",
+    "create_backtest_metrics",
+    "get_growth",
+    "get_median_return",
+    "get_average_return"
 ]

investing_algorithm_framework/services/metrics/__init__.py

@@ -21,7 +21,7 @@
     get_percentage_winning_months, get_average_monthly_return_losing_months, \
     get_average_monthly_return_winning_months, get_growth, \
     get_percentage_winning_years, get_worst_year, \
-    get_growth_percentage
+    get_growth_percentage, get_median_return, get_average_return
 from .exposure import get_average_trade_duration, \
     get_trade_frequency, get_trades_per_day, get_trades_per_year, \
     get_cumulative_exposure, get_exposure_ratio
@@ -85,4 +85,6 @@
     "get_growth",
     "get_growth_percentage",
     "get_risk_free_rate_us",
+    "get_median_return",
+    "get_average_return"
 ]

investing_algorithm_framework/services/metrics/drawdown.py

@@ -13,7 +13,7 @@
 from typing import List, Tuple
 import pandas as pd
 from datetime import datetime
-from investing_algorithm_framework.domain import PortfolioSnapshot
+from investing_algorithm_framework.domain import PortfolioSnapshot, Trade
 from .equity_curve import get_equity_curve
 
 

investing_algorithm_framework/services/metrics/exposure.py

@@ -6,13 +6,10 @@
 Low exposure (<1) means capital is mostly idle or only partially invested.
 """
 
+from datetime import datetime, timedelta
 from typing import List
-from datetime import timedelta, datetime
-from investing_algorithm_framework.domain import Trade
-
 
-from typing import List
-from datetime import datetime, timedelta
+from investing_algorithm_framework.domain import Trade
 
 
 def get_exposure_ratio(

investing_algorithm_framework/services/metrics/returns.py

@@ -154,6 +154,37 @@ def get_average_return(trades: List[Trade]) -> Tuple[float, float]:
     return average_return, percentage
 
 
+def get_median_return(trades: List[Trade]) -> Tuple[float, float]:
+    """
+    Calculate the median return from a list of trades.
+
+    The median return is calculated as the median of all returns.
+
+    Args:
+        trades (List[Trade]): List of trades.
+
+    Returns:
+        Tuple[float, float]: The median return
+        percentage of the median return
+    """
+
+    if not trades:
+        return 0.0, 0.0
+
+    sorted_returns = sorted(t.net_gain for t in trades)
+    n = len(sorted_returns)
+    mid = n // 2
+
+    if n % 2 == 0:
+        median_return = (sorted_returns[mid - 1] + sorted_returns[mid]) / 2
+    else:
+        median_return = sorted_returns[mid]
+
+    cost = sum(t.cost for t in trades)
+    percentage = (median_return / cost) if cost > 0 else 0.0
+    return median_return, percentage
+
+
 def get_best_trade(trades: List[Trade]) -> Trade:
     """
     Get the trade with the highest net gain.